existence and uniqueness of this equation. Simulations are used to compare the hedging strategies in our model to standard Black …

Increases in market volatility of asset prices have been observed and analysed in recent years and their cause has … accounts for the feedback effect from the Black-Scholes dynamic hedging strategies on the price of the asset, and from there … the asset following a Black-Scholes type dynamic hedging strategy, which is not known a priori, in order to insure against …

The volatility estimation is a crucial problem for pricing derivatives. The traditional implied volatility approach … volatility ?is endogenous and depends on the change in the firm’s financial leverage. These authors give an analytic … volatility of the return on the firm’s asset are constant. In this work, we will generalize this result by allowing these …

increasing in the volatility of demand they face, decreasing in the air premium they must pay, and increasing in the … firms with a real option to smooth demand volatility on international markets, and we provide simple calculations of that …